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_aBUS _x027000 _2bisacsh |
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_a332.01/519233 _223 |
| 049 | _aMAIN | ||
| 100 | 1 |
_aRuttiens, Alain _q(Alain H.) |
|
| 245 | 1 | 0 |
_aMathematics of the financial markets : _bfinancial instruments and derivatives modelling, valuation and risk issues / _cAlain Ruttiens. |
| 260 |
_aChichester, West Sussex : _bWiley, _c2013. |
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| 300 |
_a1 online resource (xvi, 333 pages) : _billustrations. |
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| 336 |
_atext _btxt _2rdacontent |
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| 337 |
_acomputer _bc _2rdamedia |
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_aonline resource _bcr _2rdacarrier |
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| 490 | 1 | _aWiley finance series | |
| 504 | _aIncludes bibliographical references (pages 319-321) and index. | ||
| 588 | 0 | _aOnline resource; title from PDF title page (Wiley, viewed September 13, 2013). | |
| 505 | 0 | _aSeries; Title Page; Copyright; Dedication; Foreword; Main Notations; Introduction; Part I: The Deterministic Environment; Chapter 1: Prior to the yield curve: spot and forward rates; 1.1 INTEREST RATES, PRESENT AND FUTURE VALUES, INTEREST COMPOUNDING; 1.2 DISCOUNT FACTORS; 1.3 CONTINUOUS COMPOUNDING AND CONTINUOUS RATES; 1.4 FORWARD RATES; 1.5 THE NO ARBITRAGE CONDITION; FURTHER READING; Chapter 2: The term structure or yield curve; 2.1 INTRODUCTION TO THE YIELD CURVE; 2.2 THE YIELD CURVE COMPONENTS; 2.3 BUILDING A YIELD CURVE: METHODOLOGY; 2.4 AN EXAMPLE OF YIELD CURVE POINTS DETERMINATION | |
| 505 | 8 | _a2.5 INTERPOLATIONS ON A YIELD CURVEFURTHER READING; Chapter 3: Spot instruments; 3.1 SHORT-TERM RATES; 3.2 BONDS; 3.3 CURRENCIES; FURTHER READING; Chapter 4: Equities and stock indexes; 4.1 STOCKS VALUATION; 4.2 STOCK INDEXES; 4.3 THE PORTFOLIO THEORY; FURTHER READING; Chapter 5: Forward instruments; 5.1 THE FORWARD FOREIGN EXCHANGE; 5.2 FRAs; 5.3 OTHER FORWARD CONTRACTS; 5.4 CONTRACTS FOR DIFFERENCE (CFD); FURTHER READING; Chapter 6: Swaps; 6.1 DEFINITIONS AND FIRST EXAMPLES; 6.2 PRIOR TO AN IRS SWAP PRICING METHOD; 6.3 PRICING OF AN IRS SWAP; 6.4 (RE)VALUATION OF AN IRS SWAP | |
| 505 | 8 | _a6.5 THE SWAP (RATES) MARKET6.6 PRICING OF A CRS SWAP; 6.7 PRICING OF SECOND-GENERATION SWAPS; FURTHER READING; Chapter 7: Futures; 7.1 INTRODUCTION TO FUTURES; 7.2 FUTURES PRICING; 7.3 FUTURES ON EQUITIES AND STOCK INDEXES; 7.4 FUTURES ON SHORT-TERM INTEREST RATES; 7.5 FUTURES ON BONDS; 7.6 FUTURES ON CURRENCIES; 7.7 FUTURES ON (NON-FINANCIAL) COMMODITIES; FURTHER READING; Part II: The Probabilistic Environment; Chapter 8: The basis of stochastic calculus; 8.1 STOCHASTIC PROCESSES; 8.2 THE STANDARD WIENER PROCESS, OR BROWNIAN MOTION; 8.3 THE GENERAL WIENER PROCESS; 8.4 THE ITÔ PROCESS | |
| 505 | 8 | _a8.5 APPLICATION OF THE GENERAL WIENER PROCESS8.6 THE ITÔ LEMMA; 8.7 APPLICATION OF THE ITô LEMMA; 8.8 NOTION OF RISK NEUTRAL PROBABILITY; 8.9 NOTION OF MARTINGALE; ANNEX 8.1: PROOFS OF THE PROPERTIES OF dZ(t); ANNEX 8.2: PROOF OF THE ITÔ LEMMA; FURTHER READING; Chapter 9: Other financial models: from ARMA to the GARCH family; 9.1 THE AUTOREGRESSIVE (AR) PROCESS; 9.2 THE MOVING AVERAGE (MA) PROCESS; 9.3 THE AUTOREGRESSION MOVING AVERAGE (ARMA) PROCESS; 9.4 THE AUTOREGRESSIVE INTEGRATED MOVING AVERAGE (ARIMA) PROCESS; 9.5 THE ARCH PROCESS; 9.6 THE GARCH PROCESS | |
| 505 | 8 | _a9.7 VARIANTS OF (G)ARCH PROCESSES9.8 THE MIDAS PROCESS; FURTHER READING; Chapter 10: Option pricing in general; 10.1 INTRODUCTION TO OPTION PRICING; 10.2 THE BLACK-SCHOLES FORMULA; 10.3 FINITE DIFFERENCE METHODS: THE COX-ROSS-RUBINSTEIN (CRR) OPTION PRICING MODEL; 10.4 MONTE CARLO SIMULATIONS; 10.5 OPTION PRICING SENSITIVITIES; FURTHER READING; Chapter 11: Options on specific underlyings and exotic options; 11.1 CURRENCY OPTIONS; 11.2 OPTIONS ON BONDS; 11.3 OPTIONS ON INTEREST RATES; 11.4 EXCHANGE OPTIONS; 11.5 BASKET OPTIONS; 11.6 BERMUDAN OPTIONS; 11.7 OPTIONS ON NON-FINANCIAL UNDERLYINGS | |
| 650 | 0 |
_aFinance _xMathematical models. |
|
| 650 | 0 | _aBusiness mathematics. | |
| 650 | 7 |
_aBUSINESS & ECONOMICS _xFinance. _2bisacsh |
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| 650 | 7 |
_aBusiness mathematics. _2fast _0(OCoLC)fst00842780 |
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| 650 | 7 |
_aFinance _xMathematical models. _2fast _0(OCoLC)fst00924398 |
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| 655 | 4 | _aElectronic books. | |
| 776 | 0 | 8 |
_iPrint version: _aRuttiens, Alain (Alain H.). _tMathematics of the financial markets. _dChichester, West Sussex : Wiley, 2013 _z9781118513453 _w(OCoLC)817258933 |
| 830 | 0 | _aWiley finance series. | |
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_uhttp://onlinelibrary.wiley.com/book/10.1002/9781118818510 _zWiley Online Library [Free Download only for SUST IP] |
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